| Overall Statistics |
|
Total Trades 4 Average Win 0% Average Loss 0% Compounding Annual Return 0.019% Drawdown 0.000% Expectancy 0 Net Profit 0.010% Sharpe Ratio 2.656 Probabilistic Sharpe Ratio 92.377% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -2.265 Tracking Error 0.127 Treynor Ratio -3.032 Total Fees $0.00 Estimated Strategy Capacity $15000000.00 |
class CrawlingAsparagusMosquito(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 10, 11) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
tickers = ['BTCUSD', 'ETHUSD']
self.symbols = [self.AddCrypto(ticker, Resolution.Daily).Symbol for ticker in tickers]
self.tickets = []
self.orders = 0
def OnData(self, data):
# Check if all cryptos are in the data slice
if not all([data.ContainsKey(symbol) and data[symbol] is not None for symbol in self.symbols]):
return
self.orders += 1
if self.orders >= 3:
return
for symbol in self.symbols:
ticket = self.MarketOrder(symbol, 0.0001)
self.tickets.append(ticket)
def OnEndOfAlgorithm(self):
# List all orders
for ticket in self.tickets:
self.Log(f"Ordered {ticket.Quantity} of {ticket.Symbol} at {ticket.Time} for {ticket.AverageFillPrice}")
# List all coin holdings
for cash in self.Portfolio.CashBook.Values:
self.Log(f"Holding {cash.Amount} of {cash.Symbol} (${cash.ValueInAccountCurrency} USD value)")